题目：Delegated Sovereign Wealth Fund Management: Performance, Cross-Subsidization, and Spillover Effects
主讲人：俞彬 副教授
主持人：刘起贵 教授
时间：2023年4月12日 下午14:00
地点：电竞博彩
502会议室
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内容摘要：The 2003 reform of the Chinese social security system allowed for the delegation of tranches of the National Social Security Fund (a sovereign wealth fund) to external fund management companies (FMCs). Comparing the portfolio performance of these tranches of delegated social security funds (DSSFs) with mutual funds (MFs) managed by the same FMCs under the same mandates, we find that DSSFs persistently earn excess returns of about 0.31% per month. We find that the superior performance of DSSFs stems from two sources: taking advantage of the liquidity risk premium associated with illiquid stocks and the cross-subsidization between DSSFs and MFs within the same FMC. The official validation of the FMC through the award of a DSSF mandate generates positive spillover effects to the FMC from the performance of DSSFs. Consistent with this view, we find that mutual funds in FMCs with DSSFs gain abnormal fund flows, and these mutual fund investors also earn subsequent abnormal returns.
主讲人简介：俞彬，副教授，博士生导师。浙江大学金融学系副主任，浙江大学金融研究所副所长。主持国家社科基金和国家高端智库重点课题多个。在高水平国际期刊Journal of Banking and Finance和国内权威期刊《管理世界》、《财贸经济》等发表学术论文多篇。
